Fuzzy chance-constrained portfolio selection
This paper selects the portfolio with fuzzy returns by criteria of chance represented by credibility measure. In the paper, two types of credibility-based portfolio selection model are provided according to two types of chance criteria. By one chance criterion, the objective is to maximize the inves...
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| Vydáno v: | Applied mathematics and computation Ročník 177; číslo 2; s. 500 - 507 |
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| Hlavní autor: | |
| Médium: | Journal Article |
| Jazyk: | angličtina |
| Vydáno: |
New York, NY
Elsevier Inc
15.06.2006
Elsevier |
| Témata: | |
| ISSN: | 0096-3003, 1873-5649 |
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| Abstract | This paper selects the portfolio with fuzzy returns by criteria of chance represented by credibility measure. In the paper, two types of credibility-based portfolio selection model are provided according to two types of chance criteria. By one chance criterion, the objective is to maximize the investor’s return at a given threshold confidence level; by another chance criterion, the objective is to maximize the credibility of achieving a specified return level subject to the constraints. To provide a general method to solve the new models, a hybrid intelligent algorithm integrating fuzzy simulation and genetic algorithm is designed in the paper. Two numerical examples with security returns taking different types of membership function are also given to illustrate the modelling idea of the paper and to demonstrate the effectiveness of the proposed algorithm. |
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| AbstractList | This paper selects the portfolio with fuzzy returns by criteria of chance represented by credibility measure. In the paper, two types of credibility-based portfolio selection model are provided according to two types of chance criteria. By one chance criterion, the objective is to maximize the investor’s return at a given threshold confidence level; by another chance criterion, the objective is to maximize the credibility of achieving a specified return level subject to the constraints. To provide a general method to solve the new models, a hybrid intelligent algorithm integrating fuzzy simulation and genetic algorithm is designed in the paper. Two numerical examples with security returns taking different types of membership function are also given to illustrate the modelling idea of the paper and to demonstrate the effectiveness of the proposed algorithm. |
| Author | Huang, Xiaoxia |
| Author_xml | – sequence: 1 givenname: Xiaoxia surname: Huang fullname: Huang, Xiaoxia email: hxiaoxia@manage.ustb.edu.cn organization: School of Management, University of Science and Technology Beijing, Beijing 100083, China |
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| Keywords | Fuzzy chance-constrained programming Genetic algorithm Fuzzy portfolio selection Membership function Portfolio selection Algorithm performance Applied mathematics Model selection Selection method Hybrid model Fuzzy programming |
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| Snippet | This paper selects the portfolio with fuzzy returns by criteria of chance represented by credibility measure. In the paper, two types of credibility-based... |
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| SubjectTerms | Algorithmics. Computability. Computer arithmetics Applied sciences Computer science; control theory; systems Exact sciences and technology Fuzzy chance-constrained programming Fuzzy portfolio selection Genetic algorithm Mathematical programming Operational research and scientific management Operational research. Management science Portfolio theory Theoretical computing |
| Title | Fuzzy chance-constrained portfolio selection |
| URI | https://dx.doi.org/10.1016/j.amc.2005.11.027 |
| Volume | 177 |
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